https://us.forums.blizzard.com/en/overwatch/t/how-to-block-asian-servers/624423
These 2 should help you. I currently use my firewall to block the ME servers and it works perfectly.
Edit: Ever since the ‘global servers’ update, choosing your server in the client is meaningless as the client will connect you to whichever server it sees fit automatically. Which is why you are connecting to Asia servers.